general zoo tutorial available?
The xts (a subclass of zoo) package has a comprehensive vignette as well: http://cran.r-project.org/web/packages/xts/vignettes/xts.pdf For general data manipulation and plotting of time-series in finance, there are many examples on the quantmod site (of the package quantmod and xts). http://www.quantmod.com/examples/ http://www.quantmod.com/examples/data/ http://www.quantmod.com/examples/charting/ This list is quite an excellent way to see how people use the zoo/xts/timeSeries/ etc. Make some time to browse though some results on Nabble's archive: http://n4.nabble.com/Rmetrics-f925806.html HTH Jeff
On Wed, Dec 23, 2009 at 6:50 PM, Stephen J. Barr <stephenjbarr at gmail.com> wrote:
Hello, I am working on a dataset of some intraday data. I haven't used R for this too much, so I have a few general questions. 1) What is the best way to structure the data? The CSV is from WRDS, ordered by symbol and then by datetime. Should I dump this into 1 zoo object, or have one zoo object per symbol? 2) The questions I would initially like to look at are: for a given [minute, 2 minute interval, hour, etc], what was the total volume, average volume, average price, etc. What is a good reference for learning how to do these kinds of things? 3) What is the best way to plot these time series? Thanks, -stephen ? ? ? ?[[alternative HTML version deleted]]
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Jeffrey Ryan jeffrey.ryan at insightalgo.com ia: insight algorithmics www.insightalgo.com